| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13588 |
| 来源ID | Working Paper 13588 |
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach | |
| Francis X. Diebold; Canlin Li; Vivian Z. Yue | |
| 发表日期 | 2007-11-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries. |
| 主题 | Econometrics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13588 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571264 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Canlin Li,Vivian Z. Yue. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13588.pdf（1202KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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